Benchmarking Deep Time Series Models for Equity Portfolios

Aoxin Zhang, Yuhan Cheng and Kwanting Leung

Papers from arXiv.org

Abstract: Benchmarking forecasting architectures for daily equity portfolios is not just a prediction exercise. It also asks which model remains usable after preferences, costs, and portfolio constraints are imposed. We build a CRSP daily-stock benchmark for 15 deep and statistical time-series architectures over 2018--2024. The protocol combines common-window decile portfolios, stochastic multi-criteria acceptability analysis, a deployment-adjusted acceptability index, and a constrained quadratic portfolio layer with capacity, beta, industry, risk, leverage, and turnover controls. The index starts from the SMAA rank-acceptability distribution and downweights models whose criteria-level wins produce high portfolio regret; its Gibbs form is characterized as an entropic update from the SMAA prior. Empirically, no architecture dominates the raw benchmark: TransEnc-8 has the largest rank-1 acceptability, 0.352, and no model exceeds about 0.36. Rankings vary with preferences, market state, feature universe, and transaction costs. In the promoted five-model constrained-portfolio comparison, TransEnc-8 is selected throughout, while return-oriented raw rankings can favor TS-RIDGE. Broad-universe decile signals can survive costs, but the baseline constrained-QP net Sharpe at 20 bps is negative for every promoted model. The benchmark supports model selection and diagnosis rather than a standalone trading-strategy claim.

Date: 2026-06
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2606.09420 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2606.09420

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().